Showing 1 - 2 of 2
used by portfolio managers in portfolio construction: the marginal VaR and the marginal AVaR. We illustrate the proposed …
Persistent link: https://www.econbiz.de/10009576319
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...
Persistent link: https://www.econbiz.de/10011958215